You'll be OK if you only use one or the other each time the device is connected, i.e. if you've used the Sony s/w, eject the device (and stop the Sony s/w if you've set it to auto-sync) then reconnect it if you want to use Calibre.

> If Calibre can import the Sony ebooks it is not obvious how to do it.

Just import them into Calibre from where they're stored on the PC (My Documents/...)